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Nonparametric estimates of option prices via Hermite basis functions

Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522

Persistent link: https://www.econbiz.de/10014448291

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)

Rinky; Singh, Shakti - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 208-229

Persistent link: https://www.econbiz.de/10015064444

Performance of Black-Scholes model with TSRV estimates

Singh, Shivam; Vipul - In: Managerial finance 41 (2015) 8, pp. 857-870

Persistent link: https://www.econbiz.de/10011336586

The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Implied volatility estimation of bitcoin options and the stylized facts of option pricing

Zulfiqar, Noshaba; Gulzar, Saqib - In: Financial innovation : FIN 7 (2021), pp. 1-30

trade and hedge volatile swings in Bitcoin prices effectively. The violation of constant volatility and the log …-normality assumption of the Black-Scholes option pricing model led to the discovery of the volatility smile, smirk, or skew in options … markets. These stylized facts; that is, the volatility smile and implied volatilities implied by the option prices, are well …

Persistent link: https://www.econbiz.de/10012617423